Results 171 to 180 of about 140,743 (312)
Price Discovery in Bitcoin ETF Market
Financial Review, EarlyView.ABSTRACT In this study, we explore price discovery across the following three Bitcoin markets: spot, futures, and exchange‐traded funds (ETFs). Employing the fractionally cointegrated vector autoregressive (FCVAR) model, we estimate price discovery in each market using minute‐level price data from October 19, 2021, the launch date of the first US ...
Kiana Kia +4 more
wiley +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, EarlyView.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
Statistical Arbitrage for Multiple Co-Integrated Stocks [PDF]
, 2019 T. N. Li, A. Papanicolaou
openalex +1 more source
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
Integrated forecasting and deep reinforcement learning for price-based self-scheduling of PV-BESS: Utility-scale evidence in Chile. [PDF]
PLoS OnePérez J, Lobos G, Bonacic M.
europepmc +1 more source
Regulatory Arbitrage in Cross-Border Banking Mergers within the EU
, 2010 Santiago Carbó Valverde +2 more
openalex +1 more source
Uneven Product Diversification: Explaining the Lag of Agricultural Economies
International Economic Review, EarlyView.ABSTRACT This paper documents that agricultural sectors diversify less than other manufacturing activities. A simple model shows that this difference can contribute to welfare divergence in a way that is qualitatively different to what results when uneven growth happens in the intensive margin.
Guzmán Ourens
wiley +1 more source
Price convergence in grain markets with seasonal differences. [PDF]
PLoS OneOlabisi M, Liu J, Ajibade T, Maredia MK.
europepmc +1 more source
Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies
International Economic Review, EarlyView.ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi +2 more
wiley +1 more source